Correlated Lévy Processes via Lévy Copulas
Correlated Lévy Processes via Lévy Copulas
This Demonstration shows a path of a two-dimensional subordinator (Lévy process with only positive jumps) whose components are -stable Lévy processes with dependence structure given by the Clayton–Lévy copula with parameter , which determines the degree of dependence between the marginal processes. Large values of correspond to strong dependence, small values to weak dependence.
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